ISDA Launches Consultation on Fallbacks for GBP LIBOR® ICE Swap Rate® and USD LIBOR® ICE Swap Rate®

ISDA has today launched a new consultation on how to implement fallbacks for certain swap rates published by ICE Benchmark Administration (IBA).

Following the UK Financial Conduct Authority’s (FCA) March 5 announcement on LIBOR’s future cessation and/or loss of representativeness, IBA is consulting on its intention to cease publication of the sterling LIBOR ICE Swap Rate for all tenors (from one to 30 years) immediately after publication on December 31, 2021. While IBA has not yet consulted on any intention to cease publication of the US dollar LIBOR ICE Swap Rate immediately after publication on June 30, 2023 (or on any other date), the FCA’s announcement is expected to have implications for this swap rate as well.

In order to address the potential cessation of these ICE swap rates, ISDA’s new consultation seeks input on the implementation of:

  • Fallbacks for the sterling LIBOR ICE Swap Rate suggested in a paper published by the Non-Linear Task Force of the Working Group on Sterling Risk-Free Reference Rates in the UK; and
  • Fallbacks for the US dollar LIBOR ICE Swap Rate proposed in a paper published by a Subcommittee of the Alternative Reference Rates Committee in the US.

The new consultation is open until July 2, 2021. The deadline will not be extended.

ISDA aims to publish the results of this consultation in July.

The new consultation is available here.

ISDA will host a webinar and Q&A session for market participants on Wednesday, June 23, 2021 at 11:00AM NY time / 4:00PM London time. To register for the webinar, please click here.

Additional information relating to financial benchmark reform and swap rates is available on the ISDA website.

For Press Queries, Please Contact:

Nick Sawyer, ISDA London, +44 20 3808 9740, nsawyer@isda.org

Lauren Springer (Dobbs), ISDA New York, +1 212 901 6019, ldobbs@isda.org

Joel Clark, ISDA London, +44 20 3808 9760, jclark@isda.org

Christopher Faimali, ISDA London, +44 20 3808 9736, cfaimali@isda.org

Nikki Lu, ISDA Hong Kong, +852 2200 5901, nlu@isda.org

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